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How should the cost of joint risk capital be allocated for performance measurement?
Homburg, Carsten; Scherpereel, Peter - In: European journal of operational research : EJOR 187 (2008) 1, pp. 208-227
Persistent link: https://www.econbiz.de/10003769183
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Risk management strategies via minimax portfolio optimization
Polak, George G.; Rogers, David F.; Sweeney, Dennis J. - In: European journal of operational research : EJOR 207 (2010) 1, pp. 409-419
Persistent link: https://www.econbiz.de/10003997271
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Integrated bank risk modeling : a bottom-up statistical framework
Bellini, Tiziano - In: European journal of operational research : EJOR 230 (2013) 2, pp. 385-398
Persistent link: https://www.econbiz.de/10009771828
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Pricing and risk management of interest rate swaps
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111
Persistent link: https://www.econbiz.de/10009734148
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Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European journal of operational research : EJOR 228 (2013) 3, pp. 556-570
Persistent link: https://www.econbiz.de/10009758081
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Allocation of risk capital on an internal market
Baule, Rainer - In: European journal of operational research : EJOR 234 (2014) 1, pp. 186-196
Persistent link: https://www.econbiz.de/10010247338
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
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A multistage linear stochastic programming model for optimal corporate debt management
Valladão, Davi M.; Veiga, Alvaro; Veiga, Geraldo - In: European journal of operational research : EJOR 237 (2014) 1, pp. 303-311
Persistent link: https://www.econbiz.de/10010378601